How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0798	0.76
β GARCH Volatility persistence	0.7918	4.92***
γ leverage Additional response to negative shocks	0.2567	1.82*
λ₁ tau intercept Baseline long-term coefficient	9.9970	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.4481	1.09
λ₃ tau persistence Long-term factor persistence	0.5519	0.90

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Baillie Gifford US Growth Trust PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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